giovedì 9 settembre 2010

In cantina il rapporto prezzo/utili, risorgono i dividendi!

Si moltiplicano gli articoli con il requiem del rapporto prezzo/utili, P/E in inglese. Il Wall Street Journal del 4 settembre scrive

What is wrong with the P/E? In short, the "e" can't be trusted. The Standard & Poor's 500-stock index's average P/E has dropped to 12.3 times earnings based on analyst forecasts for the next four quarters, below the 52-week average of around 14.3.
But "2011 earnings estimates are way too high," says Barry Knapp, head of U.S. equity portfolio strategy at Barclays Capital in New York. That is a problem because investors pay much more attention to earnings forecasts than to past results.
Analysts expect profits to jump 15% next year, according to Thomson Reuters data. But "net revisions" are getting worse. At the beginning of the year analysts boosted their profit forecasts 18% more than they cut them; now the figure is a mere 1%. That is a sign that analysts are becoming more negative and downgrades may be on the way.
For investors trying to gauge the market's value, one alternative may be to discard price and earnings in favor of enterprise value and free cash flow.
Stock price is just one measure of a company's worth. Enterprise value also considers long- and short-term debt, preferred stock, minority interests—in essence a company's entire capital base. By factoring in debt figures, investors can get a better read on whether a company is using leverage to juice its profit results.
Free cash flow, meanwhile, is a broader measure that takes earnings and adds depreciation and amortization while subtracting capital expenditures. It offers a sense of a company's ability to boost dividends, buy back shares or attract suitors.
The enterprise-value-to-free-cash-flow ratio for the S&P 500 is currently 20, a 10-year low.
Savita Subramanian, head of quantitative strategy at Bank of America Merill Lynch in New York, says a strategy of buying the 50 cheapest S&P 500 stocks based on the enterprise-value-to-free-cash-flow ratio has outperformed a similar strategy using forward P/Es by at least 2% since 1986, with less volatility.
An added bonus: The strategy does especially well when merger activity increases, Ms. Subramanian says. It beat the P/E-based strategy by 25% during the 1980s, and by 18% during the previous decade's private-equity boom. With bidding wars breaking out over companies in recent weeks, the strategy could get another boost.

Si moltiplicano invece gli indicatori di sentiment, nel tentativo (comprensibile ma un po' disperato) di riuscire a fare un buon timing del mercato:

To get a handle on changing economic sentiment, Westpac Banking Corp. looks at the percentage of newly released economic data that beat estimates over a rolling eight-week period. Westpac says when the index is near 60% or greater, it could signal the start of a disappointing economic trend; when it is near or below 40%, it could augur the start of a positive trend.
The "surprise index" hit 62% in January and traded near 60% again in March. In both cases, the S&P 500 dropped soon after. Now it reads about 41%, at the bottom of the normal range. "The bad news may be as bad as it can get," says Richard Franulovich, a Westpac strategist in New York. "If it drops to 30%, I will be swinging for the fences."
Another method, says Jim Stack, president of InvesTech Research in Whitefish, Mont.: watching the stocks on the New York Stock Exchange that are hitting new 52-week lows. If that number stays above 100 for five consecutive days, a bear market may be on its way. Likewise, when the number remains low for an extended period, it can signal that a bounce is imminent.
The metric remained above 100 for three consecutive weeks starting on July 20, 2007. Less than three months later, the S&P 500 peaked at 1,564.7 before dropping 57% during the following 17 months. Conversely, new 52-week lows fell to 14 four days after the market bottomed on March 9, 2009, and remained below 20 for much of 2009, as stocks rallied.
The tally for new 52-week lows hasn't stayed elevated in 2010. Despite large market drops, the figure topped 100 for only three days when the market hit lows at the end of June. It quickly reversed—by July 13, only six stocks hit new 52-week lows—and the market rallied 10%. It topped 100 again on Aug. 24 and 25, the recent bottom, before falling back to 38 on Aug. 26. The market rallied 3.3% during the ensuing six days.
Says Mr. Stack: "We haven't seen the downside leadership that usually accompanies a bear market."

Se il rapporto prezzo/utili non è di grande aiuto per valutare correttamente i mercati, per la sua volatilità e per la facilità con la quale gli utili possono essere manipolati, gli investitori dovrebbero invece fare più attenzione ai dividendi. E' questa l'opinione di Buttonwood  secondo il quale

DIVIDENDS do not get the respect they deserve. Over the long run they provide the bulk of equity investors’ returns. Work by Elroy Dimson, Paul Marsh and Mike Staunton of the London Business School* found that over the period from 1900 to 2005, the real return from global equities averaged 5%. The mean dividend yield over that period was 4.5%.

Malgrado ciò i commentatori e gli analisti dedicano molto più tempo a esaminare gli utili che i dividendi. Parte della colpa è del mercato toro degli anni '90, che con tassi di crescita vicini al 20% annuo rendeva inutile il 2% di dividend yield. I dividendi sono però molto più stabili dei profitti, difficilmente vengono tagliati ed è impossibile manipolarli. Purtroppo ancora oggi il rendimento che assicurano è molto lontano dalla media storica:

The global yield, as measured by the FTSE Global AllCap index, is only 2.5%. That suggests a very low level of future real returns from equities. Those returns have three components: the current level of dividend yield, real dividend growth and changes in valuation (moves in dividend-price ratios).
Perhaps surprisingly, Messrs Dimson, Marsh and Staunton show that, equally weighted, the average equity market enjoyed no real dividend growth at all over the 1900-2005 period. America performed better than most, achieving 1.3% annual growth. Thanks to Wall Street’s heavy weighting in the world index, this dragged up the global dividend increase to 0.8% a year. But this figure falls well short of GDP growth. If repeated, it would raise the real equity return to just 3.3%.
As for valuation, this contributed around 0.7% a year to global equity returns between 1900 to 2005. In other words, share prices rose faster than dividends, and the yield fell. With the yield well below the historic average it seems implausible to assume any further contribution from valuation. Indeed, changes in valuation may subtract from future returns.

Secondo Buttonwood ci sono tuttavia ragioni per essere ottimisti e per prendere in seria considerazione l'investimento in azioni che pagano buoni dividendi: è il momento di essere contrarian e reagire all'eccesso di pessimismo dei mercati:

A very gloomy view for European payouts, at least, has already been absorbed in the price. According to James Montier of GMO, a fund-management group, investors are expecting no growth at all in European nominal dividends between now and 2019. That looks unlikely. Even America managed to generate some dividend growth during the Depression.

Un altro buon motivo per prendere in considerazione le azioni ad alto dividendo viene dai rendimenti molto bassi delle obbligazioni:

low bond yields do give the equity bulls one more (fairly powerful) argument—that dividend yields look good by comparison. Germany’s equities yield 2.9% and its ten-year bonds yield just 2.1%. Equities yield more than government bonds in Britain as well. Even if dividends did turn out to be stagnant for the next decade, investors would still get a higher income from equities than from government bonds. And if by any chance inflation were to take off, dividends would rise whereas government bonds would look horribly overpriced. The prospect for equities may not be great, in other words—but they may still be the best of a bad lot.

Potete scaricare l'articolo di Montier al quale si fa riferimento qui, credo però che sia necessario registrarsi prima sul sito di GMO, (la registrazione è gratuita).

Qui invece potete leggere una difesa (un po' d'ufficio per i miei gusti) del rapporto prezzo/utili come indicatore di valutazione dei mercati.

Nessun commento: